“autoregressive integrated moving average (ARIMA (p, d, q)) model”的概念、定义、翻译、参考文献-科学参考

autoregressive integrated moving average (ARIMA (p, d, q)) model

Economics

A univariate time series model, in the most general form given by

$Δ^{d} y_{t} = μ + γ_{1} Δ^{d} y_{t - 1} + … + γ_{p} Δ^{d} y_{t - p} + ɛ_{t} - θ_{1} ɛ_{t - 1} - … - θ_{q} ɛ_{t - q}$

where Δ‎^d y_t is the dth difference of y_t. This is a generalization of the autoregressive moving average (ARMA (p, q)) model used to describe a non-stationary process that becomes stationary after being differenced d times. When d is a fraction the process is sometimes referred to as an autoregressive fractionally integrated moving average, or ARFIMA process.

单词	autoregressive integrated moving average (ARIMA (p, d, q)) model
释义	autoregressive integrated moving average (ARIMA (p, d, q)) model Economics A univariate time series model, in the most general form given by $Δ^{d} y_{t} = μ + γ_{1} Δ^{d} y_{t - 1} + … + γ_{p} Δ^{d} y_{t - p} + ɛ_{t} - θ_{1} ɛ_{t - 1} - … - θ_{q} ɛ_{t - q}$ where Δ‎^d y_t is the dth difference of y_t. This is a generalization of the autoregressive moving average (ARMA (p, q)) model used to describe a non-stationary process that becomes stationary after being differenced d times. When d is a fraction the process is sometimes referred to as an autoregressive fractionally integrated moving average, or ARFIMA process.
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